For Windows XP virtual machine that uses a virtual hard disk:

Make sure that Connected option is checked and Source/CD/DVD-Rom is set to Default CD/DVD-ROM or model of your CD/DVD-Rom is select in the list. Also if you are using an .iso file, choose it from this menu.

Choose the Boot Order in the left column and set the CD/DVD to the first place.

Insert the installation disk in the Windows XP CD/DVD drive in your Mac and start the virtual machine.

Windows should ask you to press any key to boot from the CD, click in the virtual machine window to capture the keyboard input and press any key.

The configuration of Windows must start the Setup process, wait until it is fully loads and then press Enter (Return).